Tactical Target Date Funds

We propose target date funds modified to exploit stock return predictability driven by the variance risk premium. The portfolio rule of these tactical target date funds (TTDFs) is extremely simplified relative to the optimal one, making it easy to implement and to communicate to investors. We show that saving for retirement in TTDFs generates economically large welfare gains, even after we introduce turnover restrictions and transaction costs, and after taking into account parameter uncertainty. This predictability also appears to be uncorrelated with individual household risk, suggesting that households are in a prime position to exploit it. This paper was accepted by Tomasz Piskorski, finance.

A Balanced Portfolio Can Have a Higher Geometric Return than the Risky Asset

In the U.S., the geometric return on stocks has been higher than the geometric return on bonds over long periods. We study whether balanced portfolios have a larger geometric return (and expected log return) than stock portfolios when the risk premium is low. We use a theoretical model and historical data and find that this is the case. This low-risk premium is often observed in other developed countries. Further, in the past two decades, a balanced portfolio with 70% or 90% invested in the U.S. stock market (with the remainder invested in U.S. government bonds) performed better than a 100% stock or bond portfolio. The reason for this is that a pure stock portfolio loses a large fraction of its value in a downturn. We show that this result is not driven by outliers, and that it occurs even when the returns are log normally distributed. This result has broad policy implications for the construction of pension systems and target-date mutual funds.

Towards healthier food choices for hospital staff and visitors: impacts of a healthy food and drink policy implemented at scale in Australia

Objective: To determine the impact of a healthy food and drink policy on hospital staff and visitors’ food purchasing behaviours, and their awareness and support for the changes introduced. Design: Two repeated cross-sectional surveys, consisting of intercept interviews and observations of food items purchased were conducted before (March-July 2018) and after (April-June 2019) the target date for implementation of 13 food and drink practices (31 December 2018). Food purchases were coded as ‘Everyday’ (healthy) or ‘Occasional’ (unhealthy). Setting: Ten randomly selected NSW public hospitals, collection sites including hospital entrances and 13 hospital cafés/cafeterias. Participants: 4,808 hospital staff and visitors completed the surveys (response rate 85%). The majority were female (63%), spoke English at home (85%), and just over half had completed tertiary education (55%). Results: Significant increases from before to after the implementation target date were found for policy awareness (23% to 42%; p<0.0001) and support (89% to 92%; p=0.01). The proportion of ‘Everyday’ food purchases increased, but not significantly (56% to 59%; p=0.22); with significant heterogeneity between outlets (p=0.0008). Overall, younger, non-tertiary-educated adults, visitors and those that spoke English at home were significantly less likely to purchase ‘Everyday’ food items. Support was also significantly lower in males. Conclusions: The findings provide evidence of strong policy support, an increasing awareness of related changes, and a trend towards increased ‘Everyday’ food purchasing. Given the relatively early phase of policy implementation, and the complexity of individual food purchasing decisions, longer-term follow-up of purchasing behaviour is recommended following ongoing implementation efforts.

TINJAUAN KRITIS TERHADAP KEBIJAKAN HARGA GABAH DAN BERAS DI INDONESIA

<p>The government intervened unhulled rice and rice price policies which requires a large budget and is faced by a trade off between protecting producers and consumers. There is also a rice trading system that has an interest in creating profits. This condition creates obstacles in achieving policy objectives. Objectives of this paper are (1) to analyze the effectiveness of unhulled rice and rice price policies and factors that affect policy effectiveness, (2) to formulate policy recommendations in minimizing side effects. Analysis using secondary data and literature review methods. Results showed that with support of other rice policies, price policy has achieved its goal of stabilizing prices and supporting economic stability. However, it is not yet effective enough to protect farmers' income, affordability of rice prices, and safeguard government rice reserves. Pricing policies need to be carried out selectively with a clear target date and be accompanied by policy instruments for farmer income and food consumption flexibility, as well as encouraging farmer independence. Farmers can be facilitated to choose profitable commodities supported by an information system, market access, credit policies, <em>input</em> subsidies and agricultural infrastructure such as irrigation.</p>

Combining Investment and Tax Strategies for Optimizing Lifetime Solvency under Uncertain Returns and Mortality

This paper considers investors who are looking to maximize their probability of remaining solvent throughout their lifetime by using an algorithm that aims to optimize their investment allocation strategy and optimize their tax strategy for withdrawal allocations between tax deferred accounts (TDAs), Roth accounts, and taxable stock and bond accounts. This optimization works with stochastic investment returns and stochastic mortality, extending and combining different investment and tax-efficiency paradigms. We find that optimizing the investment strategy has a much larger impact on the investor remaining solvent than optimizing the tax strategy. This result is key to effectively optimizing both strategies simultaneously. This optimized investment strategy soundly beats a standard target date fund strategy, and the novel optimized tax strategy displays optimal desired properties suggested by non-stochastic tax optimization research.

Target-date funds and portfolio choice in 401(k) plans

Target-date funds in corporate retirement plans grew from $5 billion in 2000 to $734 billion in 2018, partly because federal regulation sanctioned these as default investments in automatic enrollment plans. We show that adopters delegated pension investment decisions to fund managers selected by plan sponsors. Inclusion of these funds in retirement saving menus raised equity shares, boosted bond exposures, curtailed cash/company stock holdings, and reduced idiosyncratic risk. The adoption of low-cost target-date funds may enhance retirement wealth by as much as 50% over a 30-year horizon.

The evaluation of COVID-19 prediction precision with a Lyapunov-like exponent

In the field of machine learning, building models and measuring their performance are two equally important tasks. Currently, measures of precision of regression models’ predictions are usually based on the notion of mean error, where by error we mean a deviation of a prediction from an observation. However, these mean based measures of models’ performance have two drawbacks. Firstly, they ignore the length of the prediction, which is crucial when dealing with chaotic systems, where a small deviation at the beginning grows exponentially with time. Secondly, these measures are not suitable in situations where a prediction is made for a specific point in time (e.g. a date), since they average all errors from the start of the prediction to its end. Therefore, the aim of this paper is to propose a new measure of models’ prediction precision, a divergence exponent, based on the notion of the Lyapunov exponent which overcomes the aforementioned drawbacks. The proposed approach enables the measuring and comparison of models’ prediction precision for time series with unequal length and a given target date in the framework of chaotic phenomena. Application of the divergence exponent to the evaluation of models’ accuracy is demonstrated by two examples and then a set of selected predictions of COVID-19 spread from other studies is evaluated to show its potential.

Expanding Roles and Services of Academic Libraries in Achieving Sustainable Development in South Africa

Education, which is addressed by Sustainable Development Goal (SDG) 4 of the United Nations (UN), is a driving force of nations world-wide. Quality education remains a powerful tool that can be used internationally to entrench socio-economic development. SDGs are particularly significant in enabling poor and developing African countries to work towards achieving these goals by the 2030 target date. In South Africa, the goals of the National Development Plan (NDP) should also be achieved by the same date as SDGs. To achieve the SDGs and chapters of the NDP, equitable access to information is critical. Universities have a fundamental role to play in producing knowledgeable and professional PhD graduates of a high standard, who will work productively to boost weak and slow-performing economies in their respective countries. Academic libraries are mandated to support students in completing their studies. They also need to support researchers in producing impact-based research that is crucial in solving the persistent socio-economic challenges that citizens face daily. Based on the literature review, this study was aimed at highlighting the expanding roles and services that academic libraries can embark on in South Africa in achieving SDG 4 and Chapter 9 of the NDP. The key recommendation is that universities need to provide academic libraries with an increased budget to enable them to expand their roles and services to ensure that SDG 4 and Chapter 9 of the NDP are achieved.